【作者】 罗大为；

【导师】 邹宏元；

【作者基本信息】 西南财经大学 ， 金融学， 2014， 博士

【摘要】 自2005年7月人民币汇率形成机制改革以来,人民币汇率经历了长期和大幅的升值过程。直到2014年1月底,人民币／美元双边名义汇率的升值幅度达到了35.6%,国际清算银行(BIS)公布的人民币名义有效汇率(NEER)和实际有效汇率(REER)也分别升值了31.3%和42.6%。人民币如此大幅度的升值会对我国的出口造成多大的冲击,又会给我国经济的发展带来怎样的影响等一系列问题受到了社会各界的广泛关注。然而在分析汇率升值的影响之前,我们首先需要明确的是如何对人民币的对外价值进行准确的界定,是采用人民币／美元的双边汇率还是人民币的NEER或者REER?在分析汇率变化对一国总的出口额、出口价格以及贸易收支等总量指标的影响时,一个较为合理和常见的做法是采用加总的有效汇率来反映一国货币币值的变化,因为加总的有效汇率是一国货币与各主要贸易伙伴国货币之间双边汇率的加权平均,能在总体上反映该国货币的对外价值。但是,当分析的视角不是基于总体的指标,而是考察某一行业的出口产品对汇率变化的反应,以及分析汇率变化对出口商品结构的影响时,加总的有效汇率还能准确地反映汇率的变化情况吗?本文认为,在加总的有效汇率中,基于一国总体贸易额所确定的权重,不能准确地代表各贸易伙伴在不同行业中的重要程度。另外,在计算加总的实际有效汇率时,所采用的价格平减指数(如消费者价格指数(CPI)和生产者价格指数(PPI)等)也只反映了一国价格水平的总体变化,没有考虑到各个行业的价格水平存在不同的变化趋势。因此,当基于行业的视角来分析汇率变化的影响时,应该以细分行业的贸易额来确定各贸易伙伴的权重,同时采用细分行业的价格指数来对双边名义汇率进行调整,进而计算分行业的名义和实际有效汇率,这样才能准确地反映各行业出口竞争力的变化。基于上述目的,本文首先构建了人民币分行业名义和实际有效汇率指数,然后对各行业有效汇率之间的差异以及引起这种差异的原因进行了分析,如主要国际货币对各行业名义有效汇率的影响程度；名义汇率、国内和国外价格水平等因素对不同行业实际有效汇率的影响程度等。最后利用分行业有效汇率来考察我国主要出口行业的出口量和出口价格受人民币汇率变化的不同影响。本文共分七章,主要内容和结构安排如下：第一章为绪论,主要阐述本文的研究背景和意义、研究目标、研究方法和主要的研究内容,以及本文的创新点和不足之处等内容。第二章为文献综述部分,对有效汇率的相关理论和国内外研究现状进行梳理、总结和介绍,特别是对现有的关于人民币分行业有效汇率的研究进行评述,并指出本文与已有文献的不同之处。第三章根据海关协调制度(HS)的行业分类标准,以细分行业的出口额为依据来确定各贸易伙伴的权重,进而构建了我国20个行业的分行业名义有效汇率(NEER),并对各行业NEER在变化幅度及波动性等方面的差异进行了分析。结果显示,各行业NEER有基本相同的变化趋势,但是在变化幅度、各时期的水平值以及波动性方面却存在很大差异,动植物油脂行业和植物产品行业分别是NEER升值幅度最小和最大的行业,木浆、纸及其制品行业的NEER波动性最强,而动植物油脂行业的NEER最为稳定。在此基础上,本章还考察了主要国际货币(美元、欧元和日元)对我国各行业NEER的影响程度以及这种影响在不同时期的发展变化,并以此来了解,对于不同的行业,何种货币对其出口竞争力具有最重要的影响。第四章首先对比分析了BIS公布的人民币加总NEER和本文构建的人民币分行业NEER在解释我国各行业出口值变化方面的效力,并以此来检验分行业NEER是否能更有效地反映各行业出口竞争力的变化,以及本文构建人民币分行业有效汇率的意义和必要性。然后,本章还利用分行业NEER来研究了我国主要工业制品行业的出口价格与各行业NEER之间的关系。第五章在以细分行业的出口值为依据计算各贸易伙伴权重的基础之上,再以细分行业的价格指数(本国和所有贸易伙伴国细分行业的生产者价格指数(PPI)或批发价格指数(WPI))对人民币与各贸易伙伴货币的双边名义汇率进行调整,构建了我国8个主要工业制品行业的人民币分行业实际有效汇率(REER)指数。然后,本章通过仿真实验考察了名义有效汇率、国内和国外价格水平等因素对各行业REER勺影响程度。结果显示,人民币名义汇率升值是引起各行业实际有效汇率升值的主要原因,而国内和国外产品之间相对价格水平的降低又在一定程度上抑制了各行业实际有效汇率的升值。第六章利用结构向量自回归(SVAR)模型考察了分行业实际有效汇率对各行业出口量的影响。为了更加明确地了解实际有效汇率的各组成因素对出口量的影响方式和影响程度,本文将各行业的REER分解为名义有效汇率、国内和国外价格水平等三个变量代入SVAR模型中进行分析。累积脉冲响应函数表明,当各行业的名义有效汇率(NEER)受到一个正向冲击后,大部分行业的出口量都会明显地减少,只有纺织制品行业的出口量在长期当中不会受到NEER的显著影响,而杂项制品行业的出口量甚出现了随该行业NEER的升值而增加的反常现象。受国内价格水平冲击影响最大的行业是贱金属行业和运输设备行业。国外价格水平的冲击对贱金属行业、机械设备行业、精密仪器行业和杂项制品行业的出口量有明显的正向影响。而化工、塑料橡胶以及运输设备等三个行业,则由于其出口产品中大部分是基础原料和中间产品等原因,脉冲响应函数显示这些行业的出口量因外国价格水平的正向冲击而减少。第七章是全文的研究总结,以及对后续研究方向的展望。本文的主要结论如下：第一,我国各行业名义有效汇率的变化趋势基本相同,但是其变化幅度、水平值以及波动性等均存在很大差异。同时,各行业的实际有效汇率同样存在上述现象。第二,人民币与美元的双边汇率是所有行业名义有效汇率最重要的影响因素,欧元的影响次之,日元的影响最小。但是,2008年金融危机之后,美元在各行业名义有效汇率中的影响程度明显下降,欧元的影响力也有一定程度的降低。由此可知,美元仍是目前对我国各行业出口竞争力影响程度最高的货币,但其影响程度在金融危机后有下降的趋势。据此,本文认为央行以美元为主要参考货币来管理和调节人民币汇率,在目前情况下是合理的,但同时也应该根据人民币／美元汇率对我国出口竞争力影响程度的变化来调整美元在货币篮子中的权重。第三,分行业有效汇率能够更加准确地反映不同行业的出口竞争力,因此构建人民币分行业的有效汇率指数,并采用分行业有效汇率来分析汇率变化对我国各行业出口的影响具有重要的意义。第四,我国各行业产品的出口价格与对应行业的NEER之间大多表现为不完全的汇率传递现象,只有精密仪器行业的汇率传递是完全的。第五,在面对人民币名义汇率升值时,我国各行业的生产商只得通过降低自身产品与国外竞争者产品之间的相对价格,来维持其出口产品在国际市场上的竞争力。这反映了我国各行业出口产品技术含量和附加值低,只能靠低廉的价格来参与国际市场竞争的现状,更表明了加快产业结构的转型升级是从根本上转变我国各行业出口产品参与国际竞争方式的必由之路。第六,名义有效汇率、国内和国外价格水平等实际有效汇率的组成因素对我国不同行业出口量的影响程度存在很大的差异。因此本文认为,有关部门在制定与出口相关的产业、汇率等政策时,应该充分考虑政策效果的行业差异性。特别是在面对全球金融危机和欧债危机等造成的世界经济不景气而导致外需不振,以及人民币升值所造成的我国各行业出口竞争力下降等情况时,相关政府部门应根据各个行业所受影响程度的不同来制定更具针对性的汇率政策和差异化的产业政策,让政府的支持力度有意识地向受世界经济衰退和汇率升值等不利因素影响较大的行业倾斜,从而更好地促进我国各出口行业的健康、平稳发展。本文的创新点有以下几个方面：(1)首次系统地计算了人民币分行业有效汇率指数,并对各行业有效汇率在变化幅度、均值及波动性等方面的差异进行了分析。(2)计算分行业实际有效汇率时,突破了已有文献以CPI和PPI等加总的价格指数对双边名义汇率进行调整的局限,采用分行业的价格指数对人民币与各贸易伙伴货币之间的名义汇率进行调整,有效地提高了实际有效汇率在反映各行业国际竞争力变化方面的准确性。(3)首次运用计量方法,定量地研究了美元、欧元和日元等主要国际货币对我国各行业名义有效汇率的影响及其在不同时期的发展变化。(4)本文创新地采用仿真实验方法,考察了名义汇率、国内和国外价格水平等因素对各行业实际有效汇率的影响。为研究人民币升值背景下,我国各行业如何应对其出口商品国际竞争力的下降提供了新的视角。(5)在利用SVAR模型分析本文所构建的分行业实际有效汇率与各行业出口量之间的动态关系时,本文与现有文献将人民币实际有效汇率作为一个整体来分析其对我国出口贸易的影响不同,我们将各行业的实际有效汇率分解为名义有效汇率、国内和国外价格水平等三个变量带入SVAR模型中进行分析。这样做的优点是能够更加清晰和明确地考察实际有效汇率的各组成因素对出口量的不同影响,以及这种影响在行业间的差异。本文研究的不足之处有以下两个方面：(1)在计算有效汇率时,对于各贸易伙伴权重的确定,本文采用的是“双边贸易权重法”,没有考虑“第三方市场效应”。对于这一问题,在后续的研究中可以采用“双权重法”来计算各贸易伙伴的权重,这样就可以体现我国与各贸易伙伴在第三方市场上的竞争。(2)在我国对香港特区的出口中,有很大一部分商品是通过香港转口到其它国家和地区,因此并不能将其全部算作对香港的出口。但是,由于数据的可得性,本文没有对转口贸易进行考虑,而是将其直接纳入对香港的出口中来计算香港在各行业有效汇率中的权重。在后续的研究中,可以通过更加细致的数据搜集和整理工作来确定香港分行业、分国家的转口贸易数据,并将其与我国对各贸易伙伴的直接贸易数据进行整合,从而更加准确地测算各贸易伙伴在分行业有效汇率中的权重。更多还原

【Abstract】 Since the RMB exchange rate regime reformed in July2005, RMB exchange rate has experienced a long-term and sharp appreciation. Until the end of January2014, the bilateral exchange rate of RMB against the U.S. dollar has appreciated by35.6%, the RMB nominal effective exchange rate (hereinafter referred to as "NEER") and real effective exchange rate (hereinafter referred to as "REER") published by the Bank for International Settlements (BIS) has also appreciated by31.3%and42.6%respectively. The impacts of the sharp appreciation of the RMB on China’s economy especially on the exports received widespread concerns. However, before analyzing the impacts of the exchange rate appreciation, we must firstly determine which indicator can accurately define the external value of RMB, the RMB/US dollar bilateral exchange rate or the RMB NEER and REER?When analyze the impact of exchange rate on a country’s aggregate economic variables, such as the total export volume, export price, trade balance and so on, the aggregate effective exchange rate(hereinafter referred to as "EER") maybe a reasonable indicator to reflect the export competitiveness, as the EER is a weighted average of the bilateral exchange rates against the major trading partners. However, when the analysis are based on the perspective of industry level instead of national level, can the aggregate EER also be a reasonable indicator? This dissertation argues that the weights of trade partners in the aggregate EER are based on all imports and exports of a entire country, so they can not accurately reflect the importance of each trade partner in different industry. And moreover, the price indices used in aggregate REER to deflate the bilateral nominal exchange rates, such as CPI and PPI, only reflect a country’s aggregate price level and omit the industry-specific distinctions. As a consequence, when discussing the relationships between exchange rates and the industry-specific export volume or export price, aggregate EER may be less effective than industry-specific EER, in which the weights of trade partners are base on industry-specific exports or(and) imports, and the price indices for deflating are also industry-specific.In this dissertation, I firstly construct the industry-specific NEERs and REERs of RMB, and then analyze the differences between EERs across industries and the reasons causing these differences, for example, the impacts of major international currencies on industry-specific NEERs and the impacts of nominal exchange rate, domestic and foreign price level on REER of each industry. Finally, using the industry-specific NEERs and REERs, I analyze the impacts of RMB exchange rate on the export volume and export prices of China’s major manufacturing industries.This dissertation consists of seven chapters, the main contents and structural arrangement are as follows:Chapter one is an introduction. This chapter mainly elaborate the research background, research significance, research methods and the innovations of this dissertation.Chapter two is an literature review. This chapter mainly review the theories and existing researches on effective exchange rate, especially on RMB industry-specific EER, and then point out the differences between this dissertation and the existing researches.Chapter three firstly constructs the industry-specific nominal effective exchange rates for China’s20industries under Harmonized System, and then analyzes the discrepancy of NEERs across industries. The results show that: Although the moving trends of NEERs are nearly the same, there are apparent differences in mean value and amplitude of variation between each other. And then, this chapter analyzes the relationships between industry-specific NEERs and the major currencies(US dollar, Euro and Japanese yen) as well as the changes of the relationships with time.Chapter four mainly surveys the fact that could the industry-specific NEER reflect the export competitiveness of each industry more accurately, by comparing the powers of aggeregate RMB NEER published by BIS and industry-specific NEERs constructed in this dissertation on interpreting the effects of exchange rate fluctuations on exports of specific industries. And then, this chapter analyzes the relationships between industry-specific NEER and export prices of specific industries.Chapter five firstly constructs industry-specific REERs for China’s8most important industries, basing on industry-specific price level and weights calculated with industry-specific export value. On this basis, this chapter analyzes the impacts of nominal exchange rate, domestic and foreign price level on REER of each industry by conducting a simulation analysis. The results show that:the appreciation of RMB nominal exchange rate is the main factor causing the appreciation of industry-specific REERs. On the contrary, the decrease of the relative level of domestic and foreign prices to some extent restrains the appreciation of industry-specific REERs.Chapter six analyzes the dynamic relationships between each industry’s export volume and the factors of which the industry-specific REERs are composed, such as nominal exchange rate, domestic and foreign price level, basing on a SVAR model. The impulse response results show that:Because of the discrepancies in export structure and in competitiveness in international markets, the export volume of different industry will exhibit different response to a same sort of economic impulse.Chapter seven is the summary, and the1outlook for the future research.The main conclusions of this dissertation are as follows:1. The moving trends of industry-specific NEERs and REERs are nearly the same, but there are apparent differences in mean value and amplitude of variation between each other.2. For all of the NEERs, the US dollar/RMB exchange rate is the most key factor, but it’s effects lowered after the2008global financial crisis. Therefore, it is reasonable for People’s Bank of China to treat the US dollar as the main reference currency in RMB exchange rate management. However, the weight assigned to US dollar should be constantly adjusted according to the degree of influence of US dollar on China’s export competitiveness.3. The industry-specific NEERs and REERs can reflect the export competitiveness of specific industries more accurately.4. For most of the industries, the RMB exchange rate fluctuations can not completely pass-through to the export prices except the precision instruments industry.5. In the face of the appreciation of RMB nominal exchange rate, China domestic producers can only lower the relative price of domestic and foreign goods to maintain its competitiveness in the international market. This reflect the situation that, because of lack of technical content and added value, most of the export products of China can only rely on the cheap price to compete in the international market, and also indicate that it is the only way to change the mode we competing in the international market that transform and upgrade the industrial structures.6. The impacts of nominal exchange rate, domestic and foreign price level on export volume are apparently different across industries. Therefore, more attentions should be paid to the differences between industries in the industrial and exchange rate policy making, in order to let the policies more targeted.The innovations of this dissertation:1. For the first time systematically calculated the industry-specific effective exchange rates of RMB, and analyzed the differences of EERs across industries.2. Using the industry-specific price indices instead of the aggregate price indices to deflate the bilateral nominal exchange rate in the industry-specific REERs calculating.3. For the first time quantitatively analyzed the impacts of major international currencies, such as US dollar, Euro and Japanese yen, on NEERs of specific industries.4. Analyzed the impacts of nominal exchange rate, domestic and foreign price level on REERs of specific industries, by conducting a simulation analysis.5. When analyzing the relationships between industry-specific REERs and export volume of specific industries, I decompose the REER into three variables, such as NEER, domestic price level and foreign price level, so as to investigate the impacts of the factors of which the industry-specific REERs are composed on each industry’s export volume.The deficiencies of this dissertation:1. In the effective exchange rates constructing, the weights of trade partners are calculated in "bilateral trade weighting" scheme instead of "double-weighting" scheme, as a result the competition with trade partners in the third market is not taken into account.2. Due to lack of data, China’s exports of all the industries that take the form of Hong Kong’s re-export are considered as direct exports to Hong Kong, therefore the weights calculated are somewhat imprecise.更多还原